On the integral representation of g-expectations with terminal constraints

TL;DR

This paper investigates how g-expectations with terminal constraints can be represented integrally, establishing necessary and sufficient conditions for such representations.

Contribution

It provides the first comprehensive analysis of integral representations of g-expectations under terminal constraints, including necessary and sufficient conditions.

Findings

Derived necessary and sufficient conditions for integral representations

Extended understanding of g-expectations with terminal constraints

Established theoretical framework for future research

Abstract

In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.